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Stochastic processes for insurance and finance /

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Bibliographic Details
Other Authors: Rolski, Tomasz
Format: eBook
Language:English
Published: Chicester ; New York : J. Wiley, 1999.
Series:Wiley series in probability and statistics.
Subjects:
Insurance > Mathematical models.
Finance > Mathematical models.
Stochastic processes.
Stochastic Processes
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Concepts from Insurance and Finance
  • The Claim Number Process
  • Renewal Processes
  • Mixed Poisson Processes
  • Some Other Models
  • The Claim Size Process
  • Dangerous Risks
  • The Aggregate Claim Amount
  • Comparison of Risks
  • Solvability of the Portfolio
  • Premiums
  • The Risk Reserve
  • Economic Environment
  • Reinsurance
  • Need for Reinsurance
  • Types of Reinsurance
  • Ruin Problems
  • Related Financial Topics
  • Investment of Surplus
  • Diffusion Processes
  • Equity Linked Life Insurance
  • Probability Distributions
  • Random Variables and Their Characteristics
  • Distributions of Random Variables
  • Basic Characteristics
  • Independence and Conditioning
  • Convolution
  • Transforms
  • Parametrized Families of Distributions
  • Discrete Distributions
  • Absolutely Continuous Distributions
  • Parametrized Distributions with Heavy Tail
  • Operations on Distributions
  • Some Special Functions
  • Associated Distributions
  • Distributions with Monotone Hazard Rates
  • Discrete Distributions
  • Absolutely Continuous Distributions
  • Heavy-Tailed Distributions
  • Definition and Basic Properties
  • Subexponential Distributions
  • Criteria for Subexponentiality and the Class S
  • Pareto Mixtures of Exponentials
  • Detection of Heavy-Tailed Distributions
  • Large Claims
  • Quantile Plots
  • Mean Residual Hazard Function
  • Extreme Value Statistics
  • Premiums and Ordering of Risks
  • Premium Calculation Principles
  • Desired Properties of Good Premiums
  • Basic Premium Principles.